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Contagion! Systemic Risk in Financial Networks / by T. R. Hurd
(SpringerBriefs in Quantitative Finance. ISSN:21927014)
版 | 1st ed. 2016. |
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出版者 | (Cham : Springer International Publishing : Imprint: Springer) |
出版年 | 2016 |
大きさ | IX, 139 p. 11 illus., 8 illus. in color : online resource |
著者標目 | *Hurd, T. R author SpringerLink (Online service) |
件 名 | LCSH:Social sciences—Mathematics LCSH:Macroeconomics LCSH:Statistics FREE:Mathematics in Business, Economics and Finance FREE:Macroeconomics and Monetary Economics FREE:Statistics in Business, Management, Economics, Finance, Insurance |
一般注記 | Systemic Risk Basics -- Static Cascade Models -- Random Graph Models -- Percolation and Cascades -- Zero Recovery Default Cascades -- Future Directions for Cascade Models -- Background Material -- References -- Index This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises may be better understood by bringing to bear ideas from studying other complex systems in our world. After considering how people have viewed financial crises and systemic risk in the past, it delves into the mechanics of the interactions between banking counterparties. It finds a common mathematical structure for types of crises that proceed through cascade mappings that approach a cascade equilibrium. Later chapters follow this theme, starting from the underlying random skeleton graph, developing into the theory of bootstrap percolation, ultimately leading to techniques that can determine the large scale nature of contagious financial cascades HTTP:URL=https://doi.org/10.1007/978-3-319-33930-6 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9783319339306 |
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EB00205115 |
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